Shortage function and portfolio selection: on some special cases and extensions

Walter Briec (), Laurence Oms and Eric Paget-Blanc ()
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Walter Briec: CAEPEM - Centre d'Analyse de l'Efficience et de la Performance en Economie et Management - UPVD - Université de Perpignan Via Domitia
Laurence Oms: MRM - Montpellier Research in Management - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - UM2 - Université Montpellier 2 - Sciences et Techniques - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Eric Paget-Blanc: UEVE - Université d'Évry-Val-d'Essonne, LITEM - Laboratoire en Innovation, Technologies, Economie et Management (EA 7363) - EESC-GEM Grenoble Ecole de Management - UEVE - Université d'Évry-Val-d'Essonne - TEM - Télécom Ecole de Management

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Abstract: The shortage function has recently been introduced in portfolio selection theory for measuring efficiency. In this paper we focuss on the case of shortselling. We show that, in such a case, the shortage function can be computed in closed form. Some issues concerning duality are also analyzed. We also analyze the case of a riskless asset.

Keywords: Shortselling; Shortage function; Efficient frontier; Riskless asset; Portfolio management (search for similar items in EconPapers)
Date: 2014-09
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Published in Finance Research Letters, 2014, 11 (3), pp.295-302. ⟨10.1016/j.frl.2013.11.001⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02049175

DOI: 10.1016/j.frl.2013.11.001

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